Dependence Modeling Short Title: Depend. Model. Publisher: De Gruyter, Warsaw ISSN: 2300-2298/e Online: https://www.degruyter.com/view/j/demo Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2013). This journal is available open access. Documents Indexed: 158 Publications (since 2013) References Indexed: 156 Publications with 5,059 References. all top 5 Latest Issues 10 (2022) 9 (2021) 8 (2020) 7 (2019) 6 (2018) 5 (2017) 4 (2016) 3 (2015) 2 (2014) 1 (2013) all top 5 Authors 10 Puccetti, Giovanni 9 Durante, Fabrizio 8 Scherer, Matthias 6 Rüschendorf, Ludger 6 Trutschnig, Wolfgang 5 Fernández-Sánchez, Juan 5 Fuchs, Sebastian L. 5 Mai, Jan-Frederik 5 Vanduffel, Steven 4 Genest, Christian 4 Jaworski, Piotr 4 Pfeifer, Dietmar 4 Richter, Wolf-Dieter 4 Spizzichino, Fabio L. 4 Valdez, Emiliano A. 3 Bernard, Carole L. 3 Girard, Stéphane 3 Klement, Erich Peter 3 Liebscher, Eckhard 3 Mändle, Andreas 3 Mesfioui, Mhamed 3 Mesiar, Radko 3 Ragulina, Olena 3 Ressel, Paul 3 Rullière, Didier 3 Saminger-Platz, Susanne 2 Alquier, Pierre 2 Ansari, Jonathan 2 Cooke, Roger Marvin 2 Czado, Claudia 2 Derumigny, Alexis 2 Deschatre, Thomas 2 Di Bernardino, Elena 2 Dickhaus, Thorsten 2 Embrechts, Paul 2 Fermanian, Jean-David 2 Gan, Guojun 2 Girschig, Côme 2 Guzmics, Sándor 2 Jaser, Miriam 2 Kamnitui, Noppadon 2 Kolesárová, Anna 2 Lee, Jeonghwa 2 Maume-Deschamps, Véronique 2 Min, Aleksey 2 Nagler, Thomas 2 Nappo, Giovanna 2 Pflug, Georg Ch. 2 Šeliga, Adam 2 Slaoui, Yousri 2 Steffen, Nico 2 Uryasev, Stan 2 Zitikis, Ričardas 1 Aas, Kjersti 1 Acciaio, Beatrice 1 Ackerer, Damien 1 Ahmad, Aboubacrène Ag 1 Ahn, Jae Youn 1 Alvo, Mayer 1 Anatolyev, Stanislav 1 Arbel, Julyan 1 Arias García, José De Jesús 1 Arnold, Barry Charles 1 Arvanitis, Matthew A. 1 Bahraoui, Tarik 1 Bélisle, Louis 1 Benoumechiara, Nazih 1 Bentoumi, Rachid 1 Bernhart, German 1 Berti, Patrizia 1 Billio, Monica 1 Boglioni Beaulieu, Guillaume 1 Bonollo, Michele 1 Boonmee, Prakassawat 1 Bouchentouf, Amina Angelika 1 Bouezmarni, Taoufik 1 Bouhadjera, Feriel 1 Bousquet, Nicolas 1 Bozbulut, Ali Riza 1 Bücher, Axel 1 Burda, Martin 1 Chebana, Fateh 1 Chen, Shengzhong 1 Cirillo, Pasquale 1 Claeskens, Gerda 1 Constantinescu, Corina D. 1 Cooray, Kahadawala 1 Cuberos, A. 1 Dang, Xin 1 Deme, El Hadji 1 Devolder, Pierre 1 Di Persio, Luca 1 Diallo, Aldiouma 1 Diongue, Abdou Kâ 1 Diop, Aliou 1 Dobrić, Jadran 1 Doukhan, Paul 1 Dutfoy, Anne 1 Eryılmaz, Serkan N. 1 Falk, Michael ...and 139 more Authors all top 5 Fields 137 Statistics (62-XX) 62 Probability theory and stochastic processes (60-XX) 40 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Real functions (26-XX) 7 History and biography (01-XX) 7 Numerical analysis (65-XX) 5 Measure and integration (28-XX) 4 Computer science (68-XX) 2 General and overarching topics; collections (00-XX) 2 Functional analysis (46-XX) 2 General topology (54-XX) 2 Operations research, mathematical programming (90-XX) 1 Combinatorics (05-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 97 Publications have been cited 315 times in 242 Documents Cited by ▼ Year ▼ VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis 15 2016 Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244Taylor, M. D. 13 2016 On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005Di Bernardino, Elena; Rullière, Didier 12 2013 Multivariate extensions of expectiles risk measures. Zbl 1358.91113Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 11 2017 Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan 9 2013 An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046Gan, Guojun; Valdez, Emiliano A. 9 2016 Copula-based dependence measures. Zbl 1328.62368Liebscher, Eckhard 8 2014 Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier 8 2013 About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159Derumigny, Alexis; Fermanian, Jean-David 8 2017 A biconvex form for copulas. Zbl 1349.62175Fuchs, Sebastian 8 2016 VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284Rüschendorf, Ludger; Witting, Julian 6 2017 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 6 2017 Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034Nagler, Thomas; Schellhase, Christian; Czado, Claudia 6 2017 Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063Faugeras, Olivier P. 6 2017 Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020Fernández-Sánchez, Juan; Úbeda-Flores, Manuel 6 2018 Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320Gan, Guojun; Valdez, Emiliano A. 6 2017 New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme 6 2016 Copula-induced measures of concordance. Zbl 1349.62237Fuchs, Sebastian 6 2016 Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144Müller, K.; Richter, W.-D. 6 2016 On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166Jaworski, Piotr 6 2017 Are law-invariant risk functions concave on distributions? Zbl 1290.91072Acciaio, Beatrice; Svindland, Gregor 5 2013 Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057Navarro, Jorge; Sordo, Miguel A. 5 2018 New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena 5 2017 A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026Jaser, Miriam; Haug, Stephan; Min, Aleksey 5 2017 The strong Fatou property of risk measures. Zbl 1430.91132Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos 5 2018 Dependence measuring from conditional variances. Zbl 1354.60007Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat 5 2015 Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203Embrechts, Paul; Wang, Ruodu 5 2015 On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias 4 2015 Dependence of stock returns in bull and bear markets. Zbl 06297674Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich 4 2013 Baire category results for quasi-copulas. Zbl 1366.60040Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 4 2016 Quantile of a mixture with application to model risk assessment. Zbl 1355.60019Bernard, Carole; Vanduffel, Steven 4 2015 Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2014 Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio 3 2015 A note on the Galambos copula and its associated Berstein function. Zbl 06313233Mai, Jan-Frederik 3 2014 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283Rüschendorf, L. 3 2018 An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023Oertel, Frank 3 2015 Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 3 2016 On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091Di Bernardino, Elena; Rullière, Didier 3 2016 Cost-efficiency in multivariate Lévy models. Zbl 1320.91146Rüschendorf, Ludger; Wolf, Viktor 2 2015 Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 2 2015 Forecasting time series with multivariate copulas. Zbl 1328.62546Simard, Clarence; Rémillard, Bruno 2 2015 Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370Qoyyimi, Danang Teguh; Zitikis, Ricardas 2 2015 Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter 2 2017 On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109Pan, Xiaoqing; Li, Xiaohu 2 2017 Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114Puccetti, Giovanni; Scherer, Matthias 2 2018 Dependent defaults and losses with factor copula models. Zbl 1391.60027Ackerer, Damien; Vatter, Thibault 2 2017 Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311Jin, Xisong; Lehnert, Thorsten 2 2018 Maximum asymmetry of copulas revisited. Zbl 1390.60059Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 2 2018 Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano 2 2018 Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171Alquier, Pierre; Doukhan, Paul; Fan, Xiequan 2 2019 New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme 2 2019 Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika 2 2018 Ordering risk bounds in factor models. Zbl 1434.62076Ansari, Jonathan; Rüschendorf, Ludger 2 2018 Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François 2 2018 A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085Ressel, Paul 2 2018 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. 2 2016 Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429Preischl, Michael 2 2016 Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152Boonmee, Prakassawat; Tasena, Santi 2 2020 Study of partial and average conditional Kendall’s tau. Zbl 1476.62091Gijbels, Irène; Matterne, Margot 1 2021 Some new random effect models for correlated binary responses. Zbl 1328.62312Tounkara, Fodé; Rivest, Louis-Paul 1 2014 My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 On truncation invariant copulas and their estimation. Zbl 1404.62056Jaworski, Piotr 1 2017 A generalized class of correlated run shock models. Zbl 1404.62100Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza 1 2018 Copula-based dependence measures for piecewise monotonicity. Zbl 06839230Liebscher, Eckhard 1 2017 The vine philosopher. Zbl 1383.01009Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101Ren, Jiandong; Zitikis, Ričardas 1 2017 Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025Cooray, Kahadawala 1 2018 Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069Hashorva, Enkelejd 1 2018 On the lower bound of Spearman’s footrule. Zbl 1439.62130Fuchs, Sebastian; Mccord, Yann 1 2019 Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065Mai, Jan-Frederik 1 2019 Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H. 1 2019 A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251Pennoni, Fulvia; Nakai, Miki 1 2019 Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107Ressel, Paul 1 2019 On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046Falk, Michael; Stupfler, Gilles 1 2019 On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149Derumigny, Alexis; Fermanian, Jean-David 1 2019 On Copula-Itô processes. Zbl 1439.62132Jaworski, Piotr 1 2019 Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099Slaoui, Yousri 1 2019 Law invariant risk measures and information divergences. Zbl 1430.91134Lacker, Daniel 1 2018 Transformation of a copula using the associated co-copula. Zbl 1434.62081Girard, Stéphane 1 2018 A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086Trutschnig, Wolfgang; Mroz, Thomas 1 2018 Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131Quan, Zhiyu; Valdez, Emiliano A. 1 2018 On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083Deschatre, Thomas 1 2016 Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058Pellerey, Franco; Spizzichino, Fabio 1 2016 Stat trek. An interview with Christian Genest. Zbl 1403.62003Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2016 Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154Müller, K.; Richter, W.-D. 1 2016 High level quantile approximations of sums of risks. Zbl 1329.62302Cuberos, A.; Masiello, E.; Maume-Deschamps, V. 1 2015 Multivariate Markov families of copulas. Zbl 1335.60134Overbeck, Ludger; Schmidt, Wolfgang M. 1 2015 A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 1 2015 Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179Devolder, Pierre; Lebègue, Adrien 1 2016 Robustness regions for measures of risk aggregation. Zbl 1356.91106Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024Bernard, Carole; Müller, Alfred 1 2020 Copula modeling for discrete random vectors. Zbl 1460.62071Geenens, Gery 1 2020 Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 07426521Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter 1 2021 Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040Ansari, Jonathan; Rüschendorf, Ludger 1 2021 Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 07478931Mercadier, Cécile; Ressel, Paul 1 2021 Study of partial and average conditional Kendall’s tau. Zbl 1476.62091Gijbels, Irène; Matterne, Margot 1 2021 Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 07426521Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter 1 2021 Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040Ansari, Jonathan; Rüschendorf, Ludger 1 2021 Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 07478931Mercadier, Cécile; Ressel, Paul 1 2021 Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152Boonmee, Prakassawat; Tasena, Santi 2 2020 Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024Bernard, Carole; Müller, Alfred 1 2020 Copula modeling for discrete random vectors. Zbl 1460.62071Geenens, Gery 1 2020 Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171Alquier, Pierre; Doukhan, Paul; Fan, Xiequan 2 2019 New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme 2 2019 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 On the lower bound of Spearman’s footrule. Zbl 1439.62130Fuchs, Sebastian; Mccord, Yann 1 2019 Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065Mai, Jan-Frederik 1 2019 Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H. 1 2019 A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251Pennoni, Fulvia; Nakai, Miki 1 2019 Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107Ressel, Paul 1 2019 On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046Falk, Michael; Stupfler, Gilles 1 2019 On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149Derumigny, Alexis; Fermanian, Jean-David 1 2019 On Copula-Itô processes. Zbl 1439.62132Jaworski, Piotr 1 2019 Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099Slaoui, Yousri 1 2019 Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020Fernández-Sánchez, Juan; Úbeda-Flores, Manuel 6 2018 Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057Navarro, Jorge; Sordo, Miguel A. 5 2018 The strong Fatou property of risk measures. Zbl 1430.91132Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos 5 2018 Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283Rüschendorf, L. 3 2018 Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114Puccetti, Giovanni; Scherer, Matthias 2 2018 Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311Jin, Xisong; Lehnert, Thorsten 2 2018 Maximum asymmetry of copulas revisited. Zbl 1390.60059Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 2 2018 Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano 2 2018 Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika 2 2018 Ordering risk bounds in factor models. Zbl 1434.62076Ansari, Jonathan; Rüschendorf, Ludger 2 2018 Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François 2 2018 A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085Ressel, Paul 2 2018 A generalized class of correlated run shock models. Zbl 1404.62100Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza 1 2018 Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025Cooray, Kahadawala 1 2018 Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069Hashorva, Enkelejd 1 2018 Law invariant risk measures and information divergences. Zbl 1430.91134Lacker, Daniel 1 2018 Transformation of a copula using the associated co-copula. Zbl 1434.62081Girard, Stéphane 1 2018 A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086Trutschnig, Wolfgang; Mroz, Thomas 1 2018 Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131Quan, Zhiyu; Valdez, Emiliano A. 1 2018 Multivariate extensions of expectiles risk measures. Zbl 1358.91113Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil 11 2017 About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159Derumigny, Alexis; Fermanian, Jean-David 8 2017 VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284Rüschendorf, Ludger; Witting, Julian 6 2017 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 6 2017 Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034Nagler, Thomas; Schellhase, Christian; Czado, Claudia 6 2017 Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063Faugeras, Olivier P. 6 2017 Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320Gan, Guojun; Valdez, Emiliano A. 6 2017 On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166Jaworski, Piotr 6 2017 New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena 5 2017 A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026Jaser, Miriam; Haug, Stephan; Min, Aleksey 5 2017 Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter 2 2017 On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109Pan, Xiaoqing; Li, Xiaohu 2 2017 Dependent defaults and losses with factor copula models. Zbl 1391.60027Ackerer, Damien; Vatter, Thibault 2 2017 My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 On truncation invariant copulas and their estimation. Zbl 1404.62056Jaworski, Piotr 1 2017 Copula-based dependence measures for piecewise monotonicity. Zbl 06839230Liebscher, Eckhard 1 2017 The vine philosopher. Zbl 1383.01009Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2017 CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101Ren, Jiandong; Zitikis, Ričardas 1 2017 VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis 15 2016 Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244Taylor, M. D. 13 2016 An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046Gan, Guojun; Valdez, Emiliano A. 9 2016 A biconvex form for copulas. Zbl 1349.62175Fuchs, Sebastian 8 2016 New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme 6 2016 Copula-induced measures of concordance. Zbl 1349.62237Fuchs, Sebastian 6 2016 Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144Müller, K.; Richter, W.-D. 6 2016 Baire category results for quasi-copulas. Zbl 1366.60040Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 4 2016 Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 3 2016 On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091Di Bernardino, Elena; Rullière, Didier 3 2016 Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. 2 2016 Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429Preischl, Michael 2 2016 On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083Deschatre, Thomas 1 2016 Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058Pellerey, Franco; Spizzichino, Fabio 1 2016 Stat trek. An interview with Christian Genest. Zbl 1403.62003Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven 1 2016 Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154Müller, K.; Richter, W.-D. 1 2016 Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179Devolder, Pierre; Lebègue, Adrien 1 2016 Robustness regions for measures of risk aggregation. Zbl 1356.91106Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas 1 2016 Dependence measuring from conditional variances. Zbl 1354.60007Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat 5 2015 Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203Embrechts, Paul; Wang, Ruodu 5 2015 On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias 4 2015 Quantile of a mixture with application to model risk assessment. Zbl 1355.60019Bernard, Carole; Vanduffel, Steven 4 2015 Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio 3 2015 An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023Oertel, Frank 3 2015 Cost-efficiency in multivariate Lévy models. Zbl 1320.91146Rüschendorf, Ludger; Wolf, Viktor 2 2015 Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 2 2015 Forecasting time series with multivariate copulas. Zbl 1328.62546Simard, Clarence; Rémillard, Bruno 2 2015 Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370Qoyyimi, Danang Teguh; Zitikis, Ricardas 2 2015 High level quantile approximations of sums of risks. Zbl 1329.62302Cuberos, A.; Masiello, E.; Maume-Deschamps, V. 1 2015 Multivariate Markov families of copulas. Zbl 1335.60134Overbeck, Ludger; Schmidt, Wolfgang M. 1 2015 A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias 1 2015 Copula-based dependence measures. Zbl 1328.62368Liebscher, Eckhard 8 2014 Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang 3 2014 A note on the Galambos copula and its associated Berstein function. Zbl 06313233Mai, Jan-Frederik 3 2014 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Some new random effect models for correlated binary responses. Zbl 1328.62312Tounkara, Fodé; Rivest, Louis-Paul 1 2014 On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005Di Bernardino, Elena; Rullière, Didier 12 2013 Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan 9 2013 Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier 8 2013 Are law-invariant risk functions concave on distributions? Zbl 1290.91072Acciaio, Beatrice; Svindland, Gregor 5 2013 Dependence of stock returns in bull and bear markets. Zbl 06297674Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich 4 2013 all cited Publications top 5 cited Publications all top 5 Cited by 346 Authors 12 Fuchs, Sebastian L. 11 Rüschendorf, Ludger 10 Durante, Fabrizio 10 Fernández-Sánchez, Juan 9 Wang, Ruodu 8 Puccetti, Giovanni 8 Trutschnig, Wolfgang 7 Richter, Wolf-Dieter 7 Rullière, Didier 6 Genest, Christian 6 Mai, Jan-Frederik 6 Úbeda-Flores, Manuel 6 Vanduffel, Steven 5 Di Bernardino, Elena 5 Gan, Guojun 5 Hofert, Marius 5 Valdez, Emiliano A. 5 Zitikis, Ričardas 4 Alquier, Pierre 4 Mesiar, Radko 4 Papapantoleon, Antonis 4 Pfeifer, Dietmar 4 Tasena, Santi 3 Ansari, Jonathan 3 Arias García, J. J. 3 Bignozzi, Valeria 3 Bouzebda, Salim 3 De Baets, Bernard 3 Fermanian, Jean-David 3 Girard, Stéphane 3 Jaworski, Piotr 3 Liebscher, Eckhard 3 Liu, Haiyan 3 Lux, Thibaut 3 Mailhot, Mélina 3 Min, Aleksey 3 Ragulina, Olena 3 Scherer, Matthias 2 Ackerer, Damien 2 Bellini, Fabio 2 Bernard, Carole L. 2 Boonmee, Prakassawat 2 Cornilly, Dries 2 Davydov, Youri 2 Derumigny, Alexis 2 Doukhan, Paul 2 Embrechts, Paul 2 Gadat, Sébastien 2 Garnier, Rémy 2 Górecki, Jan 2 Gribkova, Nadezhda Viktorovna 2 Griessenberger, Florian 2 Guedj, Benjamin 2 Gweon, Hyukjun 2 Hashorva, Enkelejd 2 Herrmann, Klaus 2 Jaser, Miriam 2 Joe, Harry 2 Junker, Robert R. 2 Kamnitui, Noppadon 2 Klement, Erich Peter 2 Kokol-Bukovšek, Damjana 2 Kolesárová, Anna 2 Košir, Tomaž 2 Kuznetsov, Vitalii A. 2 Lacker, Daniel 2 Laksaci, Ali 2 Li, Shu 2 Mändle, Andreas 2 Mao, Tiantian 2 Maume-Deschamps, Véronique 2 McCord, Yann 2 Mercadier, Cécile 2 Mohammedi, Mustapha 2 Mohri, Mehryar 2 Mojškerc, Blaž 2 Munari, Cosimo 2 Navarro, Jorge 2 Nešlehová, Johanna G. 2 Omladič, Matjaž 2 Quesada-Molina, José Juan 2 Quessy, Jean-François 2 Ressel, Paul 2 Rigo, Pietro 2 Roustant, Olivier 2 Saminger-Platz, Susanne 2 Schmidt, Klaus D. 2 Šeliga, Adam 2 Sordo, Miguel Ángel 2 Suarez-Llorens, Alfonso 2 Sumetkijakan, Songkiat 2 Xanthos, Foivos 2 Yang, Jingping 1 Aas, Kjersti 1 Afuecheta, Emmanuel 1 Ahn, Jae Youn 1 Akkal, Fatima 1 Aldhufairi, Fadal A. A. 1 Algeri, Sara 1 Anand, Sonia ...and 246 more Authors all top 5 Cited in 70 Journals 55 Dependence Modeling 19 Insurance Mathematics & Economics 17 Journal of Multivariate Analysis 11 Fuzzy Sets and Systems 7 Computational Statistics and Data Analysis 7 Electronic Journal of Statistics 6 Journal of Mathematical Analysis and Applications 6 Statistics & Probability Letters 6 ASTIN Bulletin 6 Journal of Statistical Distributions and Applications 5 North American Actuarial Journal 4 Information Sciences 4 European Journal of Operational Research 4 Statistics & Risk Modeling 3 Journal of Computational and Applied Mathematics 3 International Journal of Approximate Reasoning 3 Machine Learning 3 Journal of Statistical Computation and Simulation 3 Scandinavian Actuarial Journal 3 Statistical Methods and Applications 2 Journal of Optimization Theory and Applications 2 Journal of Statistical Planning and Inference 2 Mathematics of Operations Research 2 Metron 2 Annals of Operations Research 2 Computational Statistics 2 Statistical Papers 2 Journal of Nonparametric Statistics 2 CEJOR. Central European Journal of Operations Research 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Thai Journal of Mathematics 2 SIAM Journal on Financial Mathematics 2 Sankhyā. Series A 2 Statistics and Computing 1 Advances in Applied Probability 1 Annals of the Institute of Statistical Mathematics 1 Archiv der Mathematik 1 Biometrical Journal 1 Biometrics 1 Journal of Applied Probability 1 Journal of Econometrics 1 Kybernetika 1 Operations Research 1 SIAM Journal on Control and Optimization 1 Statistica 1 Statistics 1 Journal of Theoretical Probability 1 The Annals of Applied Probability 1 Applied Mathematical Modelling 1 Communications in Statistics. Theory and Methods 1 Stochastic Processes and their Applications 1 Mathematical Programming. Series A. Series B 1 Mathematical Methods of Statistics 1 Annals of Mathematics and Artificial Intelligence 1 Finance and Stochastics 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Applied Statistics 1 Extremes 1 Methodology and Computing in Applied Probability 1 Decisions in Economics and Finance 1 4OR 1 Journal of the Korean Statistical Society 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Journal of Statistical Theory and Practice 1 Acta Universitatis Sapientiae. Mathematica 1 Probability Surveys 1 Journal of Probability and Statistics 1 Modern Stochastics. Theory and Applications 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 AIMS Mathematics all top 5 Cited in 22 Fields 188 Statistics (62-XX) 86 Probability theory and stochastic processes (60-XX) 75 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Operations research, mathematical programming (90-XX) 8 Computer science (68-XX) 7 Real functions (26-XX) 6 Measure and integration (28-XX) 6 Functional analysis (46-XX) 6 Numerical analysis (65-XX) 2 History and biography (01-XX) 2 Difference and functional equations (39-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 General and overarching topics; collections (00-XX) 1 Algebraic geometry (14-XX) 1 Group theory and generalizations (20-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 General topology (54-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year